Skip to content

Accept Euribor1W as an alias for EuriborSW #197

New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

Sign up for GitHub

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Merged
eddelbuettel merged 1 commit into from
Jul 22, 2026
Merged

Accept Euribor1W as an alias for EuriborSW #197

Show file tree
Hide file tree
Changes from all commits
Commits
Show all changes
1 commit
Select commit
File filter

Filter by extension

Filter by extension
Conversations
Failed to load comments.
Loading
Jump to
Jump to file
Failed to load files.
Loading
Diff view
Diff view
5 changes: 5 additions & 0 deletions ChangeLog
View file
Open in desktop
Original file line number Diff line number Diff line change
@@ -1,3 +1,8 @@
2026-07-22 Maximilian Muecke <muecke.maximilian@gmail.com>

* src/utils.cpp: Accept "Euribor1W" as an alias for "EuriborSW" in
buildIborIndex

2026-07-21 Maximilian Muecke <muecke.maximilian@gmail.com>

* src/utils.cpp: Correct Euribor2W and Euribor3W tenors when using
Expand Down
4 changes: 2 additions & 2 deletions src/utils.cpp
View file
Open in desktop
Original file line number Diff line number Diff line change
Expand Up @@ -483,7 +483,7 @@ QuantLib::DateGeneration::Rule getDateGenerationRule(const double n){
qlext::shared_ptr<QuantLib::IborIndex> buildIborIndex(std::string type,
const QuantLib::Handle<QuantLib::YieldTermStructure>& iborStrc){
#if QL_HEX_VERSION >= 0x013500c0
if (type == "EuriborSW") return qlext::make_shared<QuantLib::Euribor1W>(iborStrc);
if (type == "EuriborSW" || type == "Euribor1W") return qlext::make_shared<QuantLib::Euribor1W>(iborStrc);
if (type == "Euribor1M") return qlext::make_shared<QuantLib::Euribor>(1*QuantLib::Months, iborStrc);
if (type == "Euribor2M") return qlext::make_shared<QuantLib::Euribor>(2*QuantLib::Months, iborStrc);
if (type == "Euribor2W") return qlext::make_shared<QuantLib::Euribor>(2*QuantLib::Weeks, iborStrc);
Expand All @@ -499,7 +499,7 @@ qlext::shared_ptr<QuantLib::IborIndex> buildIborIndex(std::string type,
if (type == "Euribor11M") return qlext::make_shared<QuantLib::Euribor>(11*QuantLib::Months, iborStrc);
if (type == "Euribor1Y") return qlext::make_shared<QuantLib::Euribor>(1*QuantLib::Years, iborStrc);
#else
if (type == "EuriborSW") return qlext::make_shared<QuantLib::EuriborSW>(iborStrc);
if (type == "EuriborSW" || type == "Euribor1W") return qlext::make_shared<QuantLib::EuriborSW>(iborStrc);
if (type == "Euribor1M") return qlext::make_shared<QuantLib::Euribor1M>(iborStrc);
if (type == "Euribor2M") return qlext::make_shared<QuantLib::Euribor2M>(iborStrc);
if (type == "Euribor2W") return qlext::make_shared<QuantLib::Euribor2W>(iborStrc);
Expand Down
Loading